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Hirofumi Suzuki
 
''Comovement and index fund trading effect: evidence from Japanese stock market''
( 2015, Vol. 35 No.2 )
 
 
We examine comovement in two famous Japanese stock indexes (the Nikkei 225 and the MSCI Japan) by employing the Barberis et al. (2005) methodology. First, we compare the equal-weighted Nikkei 225 with the value-weighted Nikkei 225 and find that the index fund trading effect is strong in the medium term. Second, we confirm that there is stronger comovement in the Nikkei 225 than in the MSCI Japan, which indicates the importance of "indexing demand."
 
 
Keywords: comovement, Beta, Index inclusion
 
Manuscript Received : Apr 26 2014 Manuscript Accepted : Apr 09 2015

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